montedati.m

来自「计算VaR的」· M 代码 · 共 36 行

function [mvar] = montedati(DX,DR,valuta,legame,cambi,fattori,prezzi,vm,t,p,rendimento,lambda,modello,l)

%MONTEDATI	montevar estimation changing the numbers of data.
%
%	[mvar] = montedati(DX,DR,valuta,legame,cambi,vm,t,p,rendimento,correlazione,lambda,modello,l) 
%   calculates Monte Carlo VaR reducing the number of data utilized to the
%   minimum value of 150. Lambda is the weight in EWMA volatility forecast.
%
%	All data must be in columns.
%
%	See MONTEVAR
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]

[delta,dev,cor,C] = semplicecorr(DX,DR,legame);
n = size(DX,1)+1;

for i=1:n-150
	if lambda==1	
		[deltap,dev,cor,C] = semplicecorr(DX(i:n,:),DR(i:n,:),legame);
		else
		[deltap,dev,cor,C] = ewmacorr(DX(i:n,:),DR(i:n,:),legame,lambda);
	end
	mvar(i) = montevar(delta,C,legame,valuta,cambi,fattori,prezzi,vm,t,p,modello,l,rendimento);
end
d=1:n-150;
plot(d,mvar,'b')
title('Monte Carlo VaR')
xlabel('number of days eliminated')
ylabel('VaR')